Michel Vellekoop

University of Twente - Department of Applied Mathematics

P.O. Box 217

7500 AE Enschede

Netherlands

SCHOLARLY PAPERS

4

DOWNLOADS

582

2

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Scholarly Papers (4)

1.

Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk

SEN Working Paper No. R0202
Number of pages: 38 Posted: 14 Mar 2002
Jiri Hoogland, Dimitri Neumann and Michel Vellekoop
Centrum voor Wiskunde en Informatica (CWI), Centrum voor Wiskunde en Informatica (CWI) and University of Twente - Department of Applied Mathematics
Downloads 338 (86,801)

Abstract:

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option pricing, jump diffusion, local scale invariance, homogeneity, partial differential difference equations

Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions

Journal of Economic Theory, Vol 146, 2011
Number of pages: 25 Posted: 15 Feb 2010 Last Revised: 08 Sep 2011
An Chen, Antoon Pelsser and Michel Vellekoop
University of Ulm, Maastricht University and University of Twente - Department of Applied Mathematics
Downloads 101 (260,453)

Abstract:

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SAHARA utility, optimal investment problem, dual approach, utility indifference pricing

Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions

Journal of Economic Theory, Vol. 146, 2011
Number of pages: 26 Posted: 01 Jul 2011 Last Revised: 08 Sep 2011
An Chen, Antoon Pelsser and Michel Vellekoop
University of Ulm, Maastricht University and University of Twente - Department of Applied Mathematics
Downloads 66 (337,856)

Abstract:

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SAHARA utility, optimal investment problem, dual approach, utility indifference

3.

Pricing and Hedging Options on Defaultable Assets

Number of pages: 26 Posted: 04 Oct 2006
Johan G. B. Beumee and Michel Vellekoop
affiliation not provided to SSRN and University of Twente - Department of Applied Mathematics
Downloads 77 (306,480)

Abstract:

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Hedging, Default, Jump-Diffusion

4.

When Do Derivatives Add Value in Pension Fund Asset Allocation?

Rotman International Journal of Pension Management, Vol. 6, No. 1, 2013
Posted: 29 May 2013
Jiajia Cui, Bart Oldenkamp and Michel Vellekoop
Algemene Pensioen Groep (APG), Cardano Risk Management and University of Twente - Department of Applied Mathematics

Abstract:

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Derivatives, Optimal Portfolio Choice, Pension Fund, Stochastic Volatility and Jump Risks